Commission Delegated Regulation (EU) 2023/511 on regulatory technical standards for calculating risk-weighted exposure amounts of collective investment undertakings

The European Commission adopted Delegated Regulation (EU) 2023/511 to establish regulatory technical standards for calculating risk-weighted exposure amounts of collective investment undertakings under the mandate-based approach. Institutions must use the full notional amount of a derivative position as the exposure value when the underlying is unknown or the notional amount is missing, deriving the latter from the maximum notional amount allowed by the mandate. For counterparty credit risk calculations, institutions must substitute missing replacement costs with the sum of notional amounts and replace missing potential future exposure with 0.15 times that sum, assuming no netting effects if netting sets cannot be ascertained. This Regulation entered into force on 29 March 2023.

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Source: European Commission — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works